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Year of publication
Subject
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Volatility 511 Stochastischer Prozess 510 Volatilität 510 Stochastic process 501 Optionspreistheorie 458 Option pricing theory 449 Theorie 211 Theory 199 Börsenkurs 153 Share price 152 Option trading 142 Optionsgeschäft 142 Capital income 131 Kapitaleinkommen 131 Portfolio selection 125 Portfolio-Management 125 CAPM 120 Markov chain 116 Schätzung 116 Estimation 115 Markov-Kette 114 Derivat 100 Derivative 99 Risk 84 Zeitreihenanalyse 84 Monte Carlo simulation 83 Jump diffusion 82 Schätztheorie 82 Risiko 79 Time series analysis 79 ARCH model 78 ARCH-Modell 78 Prognoseverfahren 78 Forecasting model 77 Risikoprämie 77 Risk premium 77 Estimation theory 75 Monte-Carlo-Simulation 75 jump diffusion 67 Stochastic volatility 61
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Online availability
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Undetermined 893 Free 600 CC license 25
Type of publication
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Article 1,221 Book / Working Paper 523 Other 3 Journal 1
Type of publication (narrower categories)
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Article in journal 783 Aufsatz in Zeitschrift 783 Working Paper 176 Graue Literatur 104 Non-commercial literature 104 Arbeitspapier 98 Article 37 Thesis 15 Aufsatz im Buch 11 Book section 11 Hochschulschrift 9 research-article 6 Conference paper 3 Konferenzbeitrag 3 Collection of articles of several authors 2 Sammelwerk 2 Preprint 1 Report 1
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Language
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English 1,166 Undetermined 571 German 5 Spanish 2 French 1 Italian 1 Polish 1 Romanian 1
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Author
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Chiarella, Carl 25 Todorov, Viktor 19 Lleo, Sébastien 17 Davis, Mark H. A. 16 Lin, Shih-kuei 16 Platen, Eckhard 14 Bollerslev, Tim 12 Swanson, Norman R. 12 Ziogas, Andrew 11 Flamini, Alessandro 10 Prokopczuk, Marcel 10 Wese Simen, Chardin 10 Winkelmann, Lars 10 Dutta, Anupam 9 Hainaut, Donatien 9 Reiß, Markus 9 Bos, Charles S. 8 Cai, Ning 8 Dodonova, Anna 8 Ma, Feng 8 Rodrigues, Paulo Jorge Maurício 8 Wang, Xingchun 8 Branger, Nicole 7 Bruti-Liberati, Nicola 7 Christensen, Kim 7 Duong, Diep 7 Fabozzi, Frank J. 7 Fard, Farzad Alavi 7 Lian, Yu-Min 7 Neuhoff, Daniel 7 Nguyen, Duc Binh Benno 7 Schlag, Christian 7 Söhl, Jakob 7 Wang, Kent 7 Aase, Knut K. 6 Andersen, Torben G. 6 Asai, Manabu 6 Bayraktar, Erhan 6 Bouri, Elie 6 Chang, Kuang-Liang 6
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Institution
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Finance Discipline Group, Business School 22 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 22 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 18 HAL 11 School of Economics and Management, University of Aarhus 9 Society for Computational Economics - SCE 9 EconWPA 8 Université Paris-Dauphine (Paris IX) 8 C.E.P.R. Discussion Papers 6 Department of Economics, Oxford University 6 CESifo 5 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 5 Department of Economics, Rutgers University-New Brunswick 5 Henley Business School, University of Reading 4 Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH) 4 Nationalekonomiska institutionen, Handelshögskolan 4 Swiss Finance Institute 4 Tinbergen Instituut 4 Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) 3 Department of Economics, Iowa State University 3 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 3 Dipartimento di Scienze Economiche, Facoltà di Economia 3 Economics Group, Nuffield College, University of Oxford 3 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 3 Institute of Economic Research, Hitotsubashi University 3 Princeton University Press 3 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 3 Tilburg University, Center for Economic Research 3 Tinbergen Institute 3 Agricultural and Applied Economics Association - AAEA 2 Banco de México 2 Bank for International Settlements (BIS) 2 Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti 2 Department of Agribusiness and Applied Economics, North Dakota State University 2 Department of Economics and Business, Universitat Pompeu Fabra 2 Department of Economics, University of Sheffield 2 Dipartimento di Economia, Università degli Studi di Roma 3 2 Duke University, Department of Economics 2 Econometric Society 2 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 2
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Published in...
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International journal of theoretical and applied finance 39 International Journal of Theoretical and Applied Finance (IJTAF) 32 The North American journal of economics and finance : a journal of financial economics studies 29 Energy economics 26 Finance research letters 25 Quantitative finance 25 Insurance 24 Journal of banking & finance 24 Journal of econometrics 23 MPRA Paper 22 Computational economics 21 Physica A: Statistical Mechanics and its Applications 20 Stochastic Processes and their Applications 20 Research Paper Series / Finance Discipline Group, Business School 19 Finance and Stochastics 18 SFB 649 Discussion Papers 18 Journal of economic dynamics & control 17 Journal of empirical finance 16 Journal of mathematical finance 16 SFB 649 Discussion Paper 16 Management science : journal of the Institute for Operations Research and the Management Sciences 15 Risk-Sensitive Investment Management 15 Economic modelling 14 European journal of operational research : EJOR 14 International journal of financial engineering 14 Insurance: Mathematics and Economics 13 Journal of Banking & Finance 13 Applied Mathematical Finance 12 Computational Statistics 12 International review of financial analysis 12 Mathematics and Computers in Simulation (MATCOM) 12 Review of quantitative finance and accounting 12 Statistics & Probability Letters 12 Applied economics letters 11 The journal of futures markets 11 Applied economics 10 International review of economics & finance : IREF 10 Journal of financial economics 10 Risks : open access journal 10 Applied mathematical finance 9
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Source
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ECONIS (ZBW) 908 RePEc 683 EconStor 117 BASE 22 USB Cologne (business full texts) 11 Other ZBW resources 6 USB Cologne (EcoSocSci) 1
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Showing 1 - 10 of 1,748
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An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps
Kloster, Thomas K.; Nicolato, Elisa - In: Quantitative finance 25 (2025) 1, pp. 63-89
Persistent link: https://www.econbiz.de/10015534061
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Recursive utility and jumpdiffusions
Aase, Knut K. - 2025
Persistent link: https://www.econbiz.de/10015471593
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Merton (1976) implied jump
Yu, Junhong; Ruan, Xinfeng; Fan, Zheqi - In: Journal of economic dynamics & control 180 (2025), pp. 1-35
Persistent link: https://www.econbiz.de/10015556769
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Discontinuous movements and asymmetries in cryptocurrency markets
Gillas, Konstantinos Gkillas; Katsiampa, Paraskevi; … - In: The European journal of finance 30 (2024) 16, pp. 1907-1931
Persistent link: https://www.econbiz.de/10015273086
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Jump clustering, information flows, and stock price efficiency
Chen, Jian - In: Journal of financial econometrics 22 (2024) 5, pp. 1588-1615
Persistent link: https://www.econbiz.de/10015338828
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Return and volatility spillovers between the raw material and electric vehicles markets
Alekseev, Oleg; Janda, Karel; Petit, Mathieu; … - 2024
Persistent link: https://www.econbiz.de/10015397391
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Omnichannel supply chains amid demand shocks : a centralized hierarchical reinforcement learning framework
Giannopoulos, Panagiotis G.; Dasaklis, Thomas K. - In: Logistics 10 (2026) 4, pp. 1-41
uniform demand process and the rest a Merton-type jump-diffusion process, and a fully shock-driven profile. Results: The …
Persistent link: https://www.econbiz.de/10015647668
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Event-aware jump-diffusion for the JIBAR–ZARONIA spread
Alfeus, Mesias - 2026
Persistent link: https://www.econbiz.de/10015615331
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Discretely distributed scheduled jumps and interest rate derivatives : pricing in the context of central bank actions
Silva, Allan Jonathan da; Baczynski, Jack - In: Economies : open access journal 12 (2024) 3, pp. 1-29
affine jump-diffusions (AJDs) in order to realistically represent interest rates. We name this class the AJD-Skellam models …
Persistent link: https://www.econbiz.de/10014501143
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Impact of raw material price volatility on returns in electric vehicles supply chain
Alekseev, Oleg; Janda, Karel; Petit, Mathieu; … - 2023
and the newly proposed EGARCH-EARJI model to capture the jump component of volatility in the EV battery raw materials … market. The effect on individual stock returns of EV producers is studied via the adjusted Fama-French model with the jump …
Persistent link: https://www.econbiz.de/10014333568
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